Setsuna's death, her brain degenerated till she died, Harukawa lived with the guilt of not saving her. The revelation that Sicks had a hand in this, makes it all the more tragic.
Yako's goodbye to Neuro.
Genuine's death to protect Sicks' secrets.
The death of Miyasako's grandfather.
Towards its end, the manga version of Majin Tantei Nougami Neuro pulls out all the stops. Sasazuka's death at the hands of Sicks, Honjou's suicide, Yako's subsequent breakdown and the death of X shortly after he finally regains his memories of Ai. It's really hard to choose which is worst.
Sai's last transformation being Sasazuka and his "I don't regret anything" speech.